Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients (Q2246428)

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English	Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients	scientific article

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instance of

scholarly article

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title

Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients (English)

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Applied Mathematics and Computation

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publication date

16 November 2021

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zbMATH Keywords

nonlinear problems

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the balanced method

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strong convergence

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exponential stability

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mean-square contraction

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.amc.2021.126437

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cites work

Split-step double balanced approximation methods for stiff stochastic differential equations

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On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions

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The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

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The projected explicit Itô-Taylor methods for stochastic differential equations under locally Lipschitz conditions and polynomial growth conditions

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Q3883249

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations

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Q4866235

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Exponential mean square stability of numerical methods for systems of stochastic differential equations

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Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations

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Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

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Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Semi-implicit split-step numerical methods for a class of nonlinear stochastic differential equations with non-Lipschitz drift terms

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Strong convergence rates of modified truncated EM method for stochastic differential equations

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Almost sure exponential stability of implicit numerical solution for stochastic functional differential equation with extended polynomial growth condition

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Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations

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Balanced Implicit Methods for Stiff Stochastic Systems

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Q4826106

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Numerical solution of stochastic differential equations with jumps in finance

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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Mean-square stability of numerical schemes for stochastic differential systems

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Strong convergence of the tamed and the semi-tamed Euler schemes for stochastic differential equations with jumps under non-global Lipschitz condition

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A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications

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Split-step backward balanced Milstein methods for stiff stochastic systems

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Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments

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Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs

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A Note on the Rate of Convergence of the Euler–Maruyama Method for Stochastic Differential Equations

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Order-preserving strong schemes for SDEs with locally Lipschitz coefficients

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Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation

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Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients

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Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients

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Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations

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Identifiers

Mathematics Subject Classification ID

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10.1016/J.AMC.2021.126437

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Sitelinks

Mathematics(1 entry)

mardi Publication:2246428